Polynomial bounds in the Ergodic theorem for one-dimensional diffusions and integrability of hitting times
From MaRDI portal
Publication:537130
DOI10.1214/10-AIHP359zbMath1220.60045arXiv0903.2405MaRDI QIDQ537130
Oleg Loukianov, Dasha Loukianova, Eva Löcherbach
Publication date: 19 May 2011
Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0903.2405
diffusion process; polynomial convergence; recurrence; additive functionals; hitting times; ergodic theorem; deviations inequalities; Kac formula
60J60: Diffusion processes
60J55: Local time and additive functionals
60F99: Limit theorems in probability theory
Related Items
On population growth with catastrophes, Hitting times, functional inequalities, Lyapunov conditions and uniform ergodicity, Stochastic spikes and Poisson approximation of one-dimensional stochastic differential equations with applications to continuously measured quantum systems, Deviation inequalities for centered additive functionals of recurrent Harris processes having general state space
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Subgeometric ergodicity of strong Markov processes
- Spectral gaps and exponential integrability of hitting times for linear diffusions
- Bounds on regeneration times and limit theorems for subgeometric Markov chains
- Uniform concentration inequality for ergodic diffusion processes
- On Nummelin splitting for continuous time Harris recurrent Markov processes and application to kernel estimation for multi-dimensional diffusions
- Subgeometric rates of convergence of \(f\)-ergodic strong Markov processes
- A tail inequality for suprema of unbounded empirical processes with applications to Markov chains
- Concentration inequalities for Markov processes via coupling
- Exponential moments for hitting times of uniformly ergodic Markov processes
- On polynomial mixing bounds for stochastic differential equations
- A deviation inequality for non-reversible Markov processes
- Kac's moment formula and the Feynman-Kac formula for additive functionals of a Markov process
- Bounds on regeneration times and convergence rates for Markov chains
- Moment and probability inequalities for sums of bounded additive functionals of regular Markov chains via the Nummelin splitting technique
- Large deviations asymptotics and the spectral theory of multiplicatively regular Markov proces\-ses
- On the Poisson equation and diffusion approximation. III
- Some remarks on ultracontractivity
- Asymptotic equivalence of estimating a Poisson intensity and a positive diffusion drift
- On the Poisson equation and diffusion approximation. I
- Spectral theory and limit theorems for geometrically ergodic Markov processes
- Polynomial convergence rates of Markov chains
- Practical drift conditions for subgeometric rates of convergence.
- Exponential and uniform ergodicity of Markov processes
- Transportation-information inequalities for Markov processes
- On the Bennett-Hoeffding inequality
- Probabilistic approach for granular media equations in the non-uniformly convex case
- Penalized nonparametric mean square estimation of the coefficients of diffusion processes
- A result on the first-passage time of an Ornstein-Uhlenbeck process
- Adaptive sequential estimation for ergodic diffusion processes in quadratic metric
- Sharp Bounds for the Tails of Functionals of Markov Chains
- Probability Inequalities for the Sum of Independent Random Variables
- Markov Chains and Stochastic Stability
- Some remarks on the Rayleigh process
- Subgeometric Rates of Convergence of f-Ergodic Markov Chains
- Passage time moments for multidimensional diffusions
- Chernoff and Berry–Esséen inequalities for Markov processes
- Limit theorems for null recurrent Markov processes
- Penalized nonparametric drift estimation for a continuously observed one-dimensional diffusion process
- Probability Inequalities for Sums of Bounded Random Variables
- deviation bounds for additive functionals of markov processes
- On Subexponential Mixing Rate for Markov Processes
- The First Passage Problem for a Continuous Markov Process
